Working Paper

Non-parametric transformation regression with non-stationary data


Oliver Linton, Qiying Wang

Published Date

23 April 2013


Working Paper (CWP16/13)

We examine a kernel regression smoother for time series that takes account of the error correlation structure as proposed by Xiao et al. (2008). We show that this method continues to improve estimation in the case where the regressor is a unit root or near unit root process.

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